Schéma de discrétisation anticipatif et estimation du paramètre de dérive d'une diffusion
Souchet, Sandie
HAL, hal-00276939 / Harvested from HAL
Let Y_T=(Y(t), t in [0,T]) be a real ergodic diffusion process which drift depends on an unkown parameter qo. Our aim is to estimate qo from a discrete observation of the process Y_T, (Y(kd),k=0,...n), for a fixed and small d, as T=nd goes to infinity. For that purpose, we adapt the Generalized Method of Moments to the anticipative and approximate discrete-time trapezoidal scheme, and then to Simpson's. Under some general assumptions, the trapezoidal scheme (respectively Simpson's scheme) provides an estimation of qo with a bias of order d **2 (resp. d **4). Moreover, this estimator is asymptotically normal. These results generalize Bergstrom's, which were obtained for a Gaussian diffusion process, which drift is linear in q.
Publié le : 2000-07-05
Classification:  efficacité asymptotique en variance,  Schéma du trapèze,  schéma de Simpson,  schéma anticipatif,  diffusion ergodique,  estimation par variables instrumentales,  méthode des moments généralisés,  contraste,  biais d'estimation,  efficacité asymptotique en variance.,  62 M 05 - 62 F 12,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH]
@article{hal-00276939,
     author = {Souchet, Sandie},
     title = {Sch\'ema de discr\'etisation anticipatif et estimation du param\`etre de d\'erive d'une diffusion},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/hal-00276939}
}
Souchet, Sandie. Schéma de discrétisation anticipatif et estimation du paramètre de dérive d'une diffusion. HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/hal-00276939/